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Strategies & Market Trends : Systems, Strategies and Resources for Trading Futures -- Ignore unavailable to you. Want to Upgrade?

To: Allan Harris who wrote (766)	5/15/1998 8:55:00 AM
From: Tom Trader	Read Replies (1) \| Respond to of 44573

Allan -- you have cited several points that is my experience, as well >>As for stops, we have done extensive statistical testing of every conceivable stop strategy and concluded that the absolute best stop is no stop at all<< That is what my testing over 10 years shows, without a doubt, when it comes to position trading--applies to the day that I enter a trade. Thereafter there is generally a reversal stop in effect. >>But this is just not a practical policy, so we use a relatively wide stop, that gets hit on occasion, but keeps us in most of the trades through the MOC exits<< And I do that as well, because I can't allow a position to stay in effect with no stop whatever. So I use a very wide stop that first day. >>One strategy that seems to work well is to move the stop up to breakeven or a small profit once a minimum profit threshold is achieved<< I use a profit target--which at this point is 45 points >>While this works nicely on days like yesterday, we tested it back to the beginning of our neural net signals (July, 1996) and discovered that overall performance of the system was inferior to our MOC exits.<< One has to look at how a system does over a sufficient span of time that takes one through different types of markets. which is why I am resistant to making changes based on what is working best at a particular point in time I am involved in research to see whether there are better approaches to taking profits or partial profits using an objective approach -- but whatever it is, I will not use it unless it works over 10 years or so.

To: Allan Harris who wrote (766)	5/15/1998 9:10:00 AM
From: Patrick Slevin	Read Replies (2) \| Respond to of 44573

Haven't I seen some of your posts on RealTraders? Trendy sounds familiar. Have you analyzed your data to provide a ratio of longs vs. shorts and during what phase of the market the ratios fall into? I'm wondering if your data could be biased with regard to high success rates during periods of bullish trend. For example, I noticed a week or two ago that if I were to have purchased a 4 lot based on the volatility stop when it went bullish in January, and sold when it became bearish about a week ago, I would have picked up over $200,000 I believe. Can't get much simpler than that, but I don't know if it could show similar success over a 5 year period, for example.